If you can't find it, try using the OOB, it should be under some HQ. Then you click on the unit and on the button that says "go to this unit". Or maybe it didn't have enough resources and it has not been completely built yet.

I think it may be the latter Henri, not enough resources (raw material). In the upper screen you can see how much you RAW-produce and what RAW materials are used up by the things you are producing. If you in the beginning of the game already are producing too many cars/ships/tanks than you run out of RAW material *fast*.

Wasn't there something in AT that if a ship is built in a city but there is no container/unit for that ship already present that the ship would not be built or disappear? Its been a long time so I may be misremembering.

Are you sure the ship is not put into an already existing unit in the town? (like Grymme already explained in the post above). So you may have an Inf unit in that town, but it also has the new ship in it...